Variance Estimation Based on Invariance Principles

DOI10.1080/02331889508802507MaRDI QIDQ2785878zbMATH OpenOpenAlexFDO

Authors J. G. Steinebach

Publication date 3 June 1997

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889508802507

zbMATH Keywords

AMOC renewal modelchange point testconsistent variance estimationconvergence ratesextreme value asymptoticsincrements of Wiener processesinvariance principlesrenewal process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A new class of strongly consistent variance estimators for steady-state simulations
• Invariance principles for changepoint problems
• Invariance principles for renewal processes
• On extreme value asymptotics for increments of renewal processes
• On the increments of Wiener and related processes

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(8)

• Detecting changes in a multivariate renewal process
• On variance estimation under shifts in the mean
• Variance estimation and change point detection for the hybrids of empirical and partial-sum processes
• Variance analyses from invariance analyses
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